Fixed Income
Today’s price sits at the 48.0th percentile of modeled fair value — 45% of modeled scenarios put fair value above the market.
- Median fair value
- 100.3
- Upside to median
- +0.3%
- Last close
- $70.45
- Confidence
- high
Return distributions, not point forecasts
Percentiles describe the spread of scenario outcomes under the stated method. The width of the range carries as much information as the midpoint.
One year
modeled- P90
- +11.6%
- P75
- +8.6%
- Median
- +5.5%
- P25
- +2.1%
- P10
- -1.3%
88% of modeled scenarios end positive.
One-year total return modeled as 5.4% of income and roll-down carry plus the duration and convexity effect of a change in the 10-year par yield, with an assumed one-year standard deviation of yield changes of about 0.75 percentage points. A loss requires yields to rise about 93 basis points.
Three years, annualised
modeled- P90
- +7.6%
- P75
- +6.5%
- Median
- +5.4%
- P25
- +4.4%
- P10
- +3.1%
Three-year annualised total return anchored on the 5.42% starting yield to maturity, with roll-down along a positively sloped curve and partial yield normalisation. Starting yield dominates as the horizon lengthens, which is why the three-year range is far narrower than the one-year range.
Against the Treasury hurdle
- 1y Treasury
- 4.51%
- Expected excess
- +1.0%
- Basis
- direct
Roughly one percentage point of modeled annual edge over the 4.51% one-year Treasury par yield in exchange for 5.9 years of duration risk. This is the clearest case in the report where a nearly risk-free alternative offers a competitive return with materially less uncertainty.
7 in this asset class
| Symbol | Valuation | Fair value | Last close | 1y modeled |
|---|---|---|---|---|
| BND US Broad Bond Market | +0.1Fair | 100.3 | $70.45 | +5.5% |
| SHY Short-Term US Treasuries | 0.0Fair | 100.0 | $81.09 | +4.5% |
| IEF Intermediate US Treasuries | +0.2Fair | 100.8 | $89.69 | +5.6% |
| TLT Long-Term US Treasuries | +0.2Fair | 101.5 | $79.42 | +6.0% |
| TIP Inflation-Protected Treasuries | +0.7Somewhat cheap | 103.0 | $104.30 | +6.0% |
| LQD Investment-Grade Corporate Bonds | -0.2Fair | 99.0 | $103.15 | +5.6% |
| HYG High-Yield Corporate Bonds | -0.7Somewhat expensive | 96.5 | $77.89 | +6.2% |